diff options
Diffstat (limited to 'R/tranche_functions.R')
| -rw-r--r-- | R/tranche_functions.R | 49 |
1 files changed, 43 insertions, 6 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index b575c33..a5b99d8 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -651,7 +651,7 @@ BClossdistC <- function(defaultprob, issuerweights, recov, rho, Z, w, L <- matrix(0, N, dim(defaultprob)[2])
R <- matrix(0, N, dim(defaultprob)[2])
rho <- rep(rho, length(issuerweights))
- r <- .C("BClossdist", defaultprob, dim(defaultprob)[1], dim(defaultprob)[2],
+ r <- .C("BCloss_recov_dist", defaultprob, dim(defaultprob)[1], dim(defaultprob)[2],
as.double(issuerweights), as.double(recov), as.double(Z), as.double(w),
as.integer(length(Z)), as.double(rho), as.integer(N), as.logical(defaultflag), L=L, R=R)
return(list(L=r$L,R=r$R))
@@ -718,17 +718,54 @@ BCtranche.delta <- function(portfolio, index, coupon, K1, K2, rho1, rho2, Z, w, return( delta )
}
-BCstrikes <- function(defaultprob, issuerweights, recov, cs, Kmodified, rho, Z, w, N=101) {
+EL <- function(defaultprob, issuerweights, recov, cs){
+ ## computes the expected loss of a portfolio (time discounted)
+ ## given the default curves and recovery
+ ## should be very close to the protection leg of the portfolio of cds
+ ELvec <- crossprod( issuerweights * (1-recov), defaultprob)
+ return( crossprod(cs$df, diff(c(0, as.numeric(ELvec)))) )
+}
+
+ELtrunc <- function(defaultprob, issuerweights, recov, cs, K, rho, Z, w, Ngrid){
+ ## computes the expected loss of a portfolio below strike K
+ ## could be written faster by using a truncated version of lossdistrib
+ rho <- rep(rho, length(issuerweights))
+ L <- matrix(0, Ngrid, dim(defaultprob)[2])
+ L <- .C("BCloss_dist", defaultprob, dim(defaultprob)[1], dim(defaultprob)[2],
+ as.double(issuerweights), as.double(recov), as.double(Z), as.double(w),
+ as.integer(length(Z)), as.double(rho), as.integer(Ngrid), FALSE, L=L)$L
+ support <- seq(0, 1, length=Ngrid)
+ trancheloss <- pmin(support, K)
+ ELvec <- crossprod(trancheloss, L)
+ return( crossprod(cs$df, diff(c(0, as.numeric(ELvec)))) )
+}
+
+BCstrikes <- function(defaultprob, issuerweights, recov, cs, K, rho, Z, w, N=101) {
## computes the strikes as a percentage of expected loss
## Kmodified is the current attachment points (adjusted for losses)
- EL <- c()
+ el <- EL(defaultprob, issuerweights, recov, cs)
+ ELvec <- c()
for(i in 2:length(K)){
- EL <- c(EL, -BCtranche.pv(defaultprob, issuerweights, recov, cs,
- K[i-1], K[i], rho[i-1], rho[i], Z, w, N)$pl)
+ ELvec <- c(ELvec, ELtrunc(defaultprob, issuerweights, recov, cs, K[i], rho[i], Z, w, N))
}
- return(cumsum(EL*diff(Kmodified))/sum(EL*diff(Kmodified)))
+ return( ELvec/el )
}
+skewmapping <- function(defaultprob1, issuerweights1, recov1, cs1, rhofun,
+ defaultprob2, issuerweights2, recov2, cs2, K2, Z, w, N=101) {
+
+ EL1 <- EL(defaultprob1, issuerweights1, recov1, cs1)
+ EL2 <- EL(defaultprob2, issuerweights2, recov2, cs2)
+ f <- function(x, ...){
+ return(abs(ELtrunc(defaultprob1, issuerweights1, recov1, cs1,
+ 0, x, 0, rhofun(x), Z, w, N)/EL1-
+ ELtrunc(defaultprob2, issuerweights2, recov2, cs2,
+ 0, K2, 0, rhofun(x), Z, w, N)/EL2))
+ }
+ return( optimize(f, interval=c(0,1)) )
+}
+
+
delta.factor <- function(K1, K2, index){
## compute the factor to convert from delta on current notional to delta on original notional
## K1 and K2 original strikes
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